Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Oct 10 (1D) Oct 13 (4D) Oct 14 (5D) Oct 15 (6D) Oct 16 (7D) Oct 17 (8D) Oct 20 (11D) Oct 21 (12D) Oct 22 (13D) Oct 23 (14D) Oct 31 (22D) Nov 07 (29D) Nov 14 (36D) Nov 21 (43D) Nov 28 (50D) Dec 05 (57D) Dec 12 (64D) Dec 19 (71D) Dec 26 (78D)
lower 667.342 661.575 660.213 658.983 657.851 656.797 653.981 653.131 652.315 651.53 646.058 642.051 638.505 635.29 632.328 629.566 626.97 624.512 622.173
upper 678.878 684.645 686.007 687.237 688.369 689.423 692.239 693.089 693.905 694.69 700.162 704.169 707.715 710.93 713.892 716.654 719.25 721.708 724.047
expected move 5.768 11.535 12.897 14.127 15.259 16.313 19.129 19.979 20.795 21.58 27.052 31.059 34.605 37.82 40.782 43.544 46.14 48.598 50.937
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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